DAX Volatility Index

CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

How volatility evolves over time

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

Spline Coefficients

Value at Risk (VaR) estimates the maximum loss at a given confidence level. Expected Shortfall (ES) estimates the average loss beyond VaR.

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Param	Value	t-stat
ωlong-run	98.0113	1.09
αscore	0.2334	14.46***
βpersistence	0.9934	178.89***
νDF	3.7634	6.46***

Parameter	Value	t-statistic
ω long-run Long-run variance given a price move	98.0113	1.09
α score Weight on the scaled score	0.2334	14.46***
β persistence Volatility persistence	0.9934	178.89***
ν DF Student-t tail thickness	3.7634	6.46***

V-Lab

NX Filtration N.V. GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other NX Filtration N.V. Analyses